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	To execute our algorithm, we will use daily data from Kenneth French's <a href="https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html">Data Library</a> that captures the Fama-French three factors for the period July 1, 2009 to June 30, 2019. The raw data is delivered in a zip ﬁle which is not directly importable into LEAN. We need to unzip the file and upload the CSV to a Github repository. All other data used for this algorithm, including stock price, volume, and market capitalization, are from QuantConnect's Data Library. In the original paper, BSV also includes ﬁrm-speciﬁc variables like momentum, turnover, and dummies of properties including Nasdaq-listed stocks, small-size, medium-size, industries. We can refer to this <a href="http://boyer.byu.edu/Research/skew/skewmethodology.pdf">online technical appendix</a> for descriptions of these variables.
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